How can I extract LOSBTER Limit Order Book?

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Francesco
Francesco 2021-5-17
编辑： Francesco 2023-2-17
Hello! I am working with high frequency data from LOBSTER dataset (LOBSTER | high quality limit order book data. (lobsterdata.com)).
I have the message book:
and the corresponding Limit Order Book:
I do not understand how can I find the "time series" of the Market Orders (i.e. orders to buy/sell a the best available price).
Could someone help me by giving me some suggestions on how to extrapolate market orders with a code in MATLAB?
Thank you in advance!

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David Resendes
David Resendes 2022-4-8
Francesco,
The Financial Toolbox documentation has a series of examples showing machine learning techniques for statistical arbitrage, which analyze the LOBSTER data.
Machine Learning for Statistical Arbitrage: Introduction
Machine Learning for Statistical Arbitrage I: Data Management and Visualization
Machine Learning for Statistical Arbitrage II: Feature Engineering and Model Development
Machine Learning for Statistical Arbitrage III: Training, Tuning, and Prediction
The "Data Management and Visualization" example shows how to calculate the market orders.

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